EARNINGS NEWS AND SMALL TRADERS - AN INTRADAY ANALYSIS

被引：212

作者：

LEE, CMC

机构：

[1] University of Michigan, Ann Arbor

来源：

JOURNAL OF ACCOUNTING & ECONOMICS | 1992年 / 15卷 / 2-3期

基金：

美国国家科学基金会;

关键词：

D O I：

10.1016/0165-4101(92)90021-S

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This study separates trading volume into buyer- and seller-initiated activities and examines the directional volume reaction in small and large trades to different types of earnings news. 'Good' ('bad') news triggers brief, but intense, buying (selling) in the large trades. However. a persistent period of unusually high buying activity is observed in the small trades irrespective of the news. This anomalous proclivity of small traders to buy is robust across firm size, trading volume, and different earnings expectation models. Several explanations are discussed, although the behavior does not seem fully explained by existing theories.

引用

页码：265 / 302

页数：38

共 34 条

[1] A Theory of Intraday Patterns: Volume and Price Variability [J].